Conditional volatility of the returns from Brazilian agricultural commodities

Authors

  • Vanessa da Fonseca Pereira Universidade Federal de Viçosa
  • João Eustáquio de Lima Universidade Federal de Viçosa
  • Marcelo José Braga Universidade Federal de Viçosa
  • Talles Girardi de Mendonça Universidade Federal de Viçosa

DOI:

https://doi.org/10.5380/re.v36i3.14058

Keywords:

ARCH models, Value-at-Risk, Brazilian agricultural products

Abstract

The aim of this study was to comparatively analyze the private returnsfrom three important commodities to the Brazilian agribusiness: soybeans, coffeeand live cattle. In order to supply useful information to farmers’ decision makingand to support the governmental policy establishment, the analyses emphasized themarket risk, evaluated from the variance conditional behavior. The autoregressiveconditional heteroscedasticity models (ARCH) were used and, in a complementaryway, Value-at-Risk (VaR) was estimated. After the confirmation that the variabilityof the returns from the three products has conditional dependency, the resultsindicated high persistence in the answers to the variance shocks. It was observedthat the returns from coffee and soybeans are characterized by asymmetric answersto the positive and negative shocks, although the leverage effect was not identified.The VaR measures showed bigger loss potential to the coffee producers, followedby the soybeans and by the live cattle.

Author Biographies

Vanessa da Fonseca Pereira, Universidade Federal de Viçosa

Doutoranda em Economia Aplicada pelo Departamento de Economia Rural da Universidade Federal de Viçosa (UFV).

João Eustáquio de Lima, Universidade Federal de Viçosa

Professor titular do Departamento de Economia Rural da Universidade Federal de Viçosa (UFV).

Marcelo José Braga, Universidade Federal de Viçosa

Professor associado do Departamento de Economia Rural da Universidade Federal de Viçosa (UFV).

Talles Girardi de Mendonça, Universidade Federal de Viçosa

Doutorando em Economia Aplicada pelo Departamento de Economia Rural da Universidade Federal de Viçosa (UFV).

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How to Cite

Pereira, V. da F., de Lima, J. E., Braga, M. J., & Mendonça, T. G. de. (2010). Conditional volatility of the returns from Brazilian agricultural commodities. Revista De Economia, 36(3). https://doi.org/10.5380/re.v36i3.14058

Issue

Vol. 36 No. 3 (2010)

Section

Artigos

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